No one will ever ask for a JPY-USD quote as it's not mkt convention.

Yeah actually the value of what needs to be delivered should use the Strike, shouldn't it?

Google static replication - there is a ton of stuff on this, also i think this is in MJ's book Ch10.

We call is something like a second chance one touch.

<t>Roughly, You get a smile impact by creating a portfolio of Vanilla options with the same volga and vanna (and as well vega) as your exotic, then say that the smile is the same for that portfolio as for your exotic. Intuitively it's approx. the hedge cost of the vol. risk. But not so good a model ...

Equity Default Swaps

Try searching for PRDC and FX TARN, should turn up some stuff.

correct!

Has anyone got a copy?

Maybe you might consider getting William's book to fill in the gaps. Also, I think the exercises in the Oksendal book are very instructive. I like the Oksendal book myself despite also finding it a little tough to start with.

<t>When modelling the longer dated FX vols it becomes important to take account of stochastic interest rates, assuming log-normal bond processes you can write, roughly:FX vol of forward = FX Only Var + Domestic Bond Var + Foreign Bond Var + Covariance TermsIs there anyone here who can give some intu...

Very clearly explained in Glasserman (Monte Carlo Methods In Finance) P72 for a simple case with constant (over the time step of the MC) vols and correlations. It is just a scaling issue (on each variate) in this case.

Was it the quanto correction?

<t>I have no experience of how tough it is to get onto a PhD program in the states, but if you are happy not going to Cambridge/Oxford, in the UK, I wouldn't think there would be too much trouble if you have high grades.I know 2 people that having got Maths undergrad went on and did Economics Phd's ...

Alexander Lipton, Mathematical Methods for Foreign Exchange covers the quant side.